Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0845
Annualized Std Dev 0.2640
Annualized Sharpe (Rf=0%) -0.3202

Row

Daily Return Statistics

Close
Observations 3393.0000
NAs 1.0000
Minimum -0.1824
Quartile 1 -0.0068
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0004
Quartile 3 0.0073
Maximum 0.2075
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0003
Variance 0.0003
Stdev 0.0166
Skewness -0.3890
Kurtosis 19.5253

Downside Risk

Close
Semi Deviation 0.0123
Gain Deviation 0.0117
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.8108
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0420
Modified VaR (95%) -0.0228
Modified ES (95%) -0.0228
From Trough To Depth Length To Trough Recovery
2007-10-01 2020-03-23 NA -0.8108 3392 3141 NA
2007-09-27 2007-09-27 2007-09-28 -0.0074 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA -2 -1 4.3 -0.4 0.8
2008 -0.9 -3.5 3.6 0.4 0.9 -0.1 -0.3 0.1 4.7 1.8 -5.8 2.7 3.3
2009 0 -3.9 0.6 2.1 2 2 2.7 -1.8 0.4 -3.1 -0.5 1.1 1.4
2010 0.9 1.7 -1.2 -1.3 -1.4 -1.3 0.9 2.5 0.5 1.3 0.8 -1 2.4
2011 2 0.7 -1.3 0.8 0.7 0.8 0.8 0.7 -2.8 -0.4 1.3 0.5 3.7
2012 -2.3 0.2 2 2.4 -1.4 1.8 0.2 1.2 0.1 2.5 0.8 1.5 9.3
2013 -0.2 0.8 0.3 -0.6 0.4 1.1 0.5 -0.7 0.6 2.5 -1 0.1 3.8
2014 1.6 -1.2 -2.1 -0.4 0.2 -1.2 -0.6 -0.9 0.4 0.5 -0.7 -1.2 -5.6
2015 0.9 0.3 0.3 -1.4 -0.9 0.5 -0.1 -2.3 0.6 1 1.9 1.9 2.6
2016 3 1.1 0.6 -1.7 -0.5 2.6 -0.6 0.6 1.2 -0.5 -1.4 -0.8 3.6
2017 -1.1 0.2 0.9 -0.8 0 0.2 -0.3 -0.1 -0.1 -0.8 0.9 0.2 -0.8
2018 -0.5 0 -1.1 0.2 0.6 0.9 0.2 -0.1 -0.7 0.6 0.4 2.5 2.9
2019 0.4 -0.1 1.2 0.4 -1.9 0.4 -0.6 -0.6 -1 0.1 0 1.4 -0.2
2020 -1.4 -6 -4.6 -1.7 0.2 1.3 -0.2 -0.7 0.4 -2.5 1.6 0.4 -12.6
2021 1.3 0.9 0.8 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-09-26  20.2 SPY    152.  0.0053  -0.0076   0.0357   0.0119    0.149    0.365    0.849 GLD    72   -0.0046  8.00e-3
2 2007-09-27  20.0 SPY    153.  0.0059   0.0053   0.0652   0.018     0.146    0.382    0.815 GLD    72.7  0.0097 -3.00e-4
3 2007-09-28  20.4 SPY    153. -0.0033   0.004    0.0412   0.0143    0.141    0.371    0.780 GLD    73.5  0.0111  1.62e-2
4 2007-10-01  20   SPY    154.  0.0113   0.0172   0.0558   0.0165    0.154    0.380    0.865 GLD    73.9  0.0053  2.24e-2
5 2007-10-02  20.1 SPY    154. -0.0014   0.0178   0.044    0.0115    0.154    0.379    0.884 GLD    72.4 -0.021   3.00e-4
6 2007-10-03  20   SPY    154. -0.002    0.0104   0.0315   0.0105    0.156    0.353    0.794 GLD    71.9 -0.0062 -1.40e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart